adaptive session Heatmap Volume PRO

Title: Adaptive Session Heatmap Volume PRO
Description:
1. Indicator Overview and Core Concept
This indicator is an advanced volume analysis tool designed to visualize volume flow and identify statistically significant volume spikes. It operates in a separate pane below the main chart and uses a statistical approach (either Z-Score or Percentile Rank) to normalize volume data, making it comparable across different market conditions and timeframes.
The core concept is to create a "heatmap" of volume activity, where colors instantly show the intensity of volume relative to its recent history. This allows traders to spot moments of institutional activity, potential exhaustion, or the start of a new move with greater clarity.
2. Core Calculation: Normalizing Volume
To make volume data meaningful, the indicator first normalizes it. The user can choose between two industry-standard statistical methods:
Z-Score Mode: This is the default mode. It measures how many standard deviations the current bar's volume is from the recent average volume.
A Simple Moving Average (MA Length) of the volume is calculated to establish a mean.
The Standard Deviation (Standard Deviation Length) of the volume is calculated to measure its dispersion (std).
The raw Z-Score for the current bar is calculated as: (volume - mean) / std.
This raw score is then smoothed with an EMA (Z-Score EMA Smoothing) to reduce noise and provide a more stable reading (stdbar).
Percentile Mode: This mode measures the rank of the current bar's volume relative to all other volume bars within a lookback period (Percentile Length). A value of 95% means the current volume is higher than 95% of the preceding bars.
3. Thresholds and Heatmap Levels
The indicator defines five levels of volume activity (Low, Normal, Medium, High, Extra High) based on user-defined thresholds. These thresholds are applied to the normalized value (either the Z-Score or the Percentile Rank) to classify the current volume's significance.
Adaptive Session Thresholds: A key feature is the ability to adapt these thresholds based on the market session (Asia, London, or New York). When Adaptive thresholds by session is enabled, the base thresholds are multiplied by a session-specific multiplier (Asia Multiplier, London Multiplier, NY Multiplier). This accounts for the natural ebb and flow of volume throughout the trading day, ensuring that a "high volume" spike during the quiet Asian session is evaluated differently than one during the active New York session.
4. Visual Elements and Color Modes
The indicator offers a rich set of visual tools to interpret the data:
Volume Bars: The primary plot, showing the volume for each bar.
Color Modes: The color of the volume bars can be configured in two ways:
Heatmap Mode: Colors the bars based on the volume's statistical level (e.g., red for Extra High, orange for High, etc.), regardless of the bar's direction. This is purely for identifying volume intensity.
Up/Down Mode: Colors the bars based on both the volume's level AND the direction of the price bar (up or down). For example, an Extra High volume on an up-bar will have a different color than an Extra High volume on a down-bar.
Background Heatmap Zones (Z-Score Only): When using Z-Score mode, the indicator can plot colored background zones. These zones correspond to the standard deviation levels, creating a comprehensive heatmap that visualizes the different levels of volume activity.
5. Advanced Features and Alerts
Higher Timeframe (HTF) Confirmation: The indicator can check if the volume on a higher timeframe (e.g., 15 minutes) also meets a minimum threshold (HTF spike multiplier). This acts as a powerful filter to confirm that the volume spike is significant on multiple timeframes.
Noise Filter: An ATR-based filter (Min % of ATR range) ensures that only bars with a minimum price range are considered, filtering out insignificant doji-like bars.
Cluster and Transition Analysis:
Volume Cluster: The indicator can detect a "cluster" of high-volume bars occurring within a specific window (Cluster window), alerting the user to sustained buying or selling pressure.
Transition Alert: It can generate a specific alert when the volume "jumps" from a lower level to a High or Extra High level, signaling a sudden change in market dynamics.
On-Chart Markers: Visual markers (🔔 for transitions, ⚡ for clusters) can be plotted on the main chart to draw attention to these key events.
Data Legend: A compact table on the chart displays key real-time values, including the current mode, Z-Score, Percentile Rank, session multiplier, and HTF confirmation status